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Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a penalized two-stage fixed-effects quantile approach, which...

Persistent link: https://www.econbiz.de/10011414705

European banking supervision : the first eighteen months

Gehrig, Thomas P.; Messori, Marcello; Leite, António P.; … - 2016

Persistent link: https://www.econbiz.de/10011506995

Predicting vulnerabilities in the EU banking sector : the role of global and domestic factors

Behn, Markus; Detken, Carsten; Peltonen, Tuomo; … - 2016

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro-financial variables in predicting banking sector vulnerabilities. Using data for 23 European countries, we find that global variables and in particular global credit growth are strong...

Persistent link: https://www.econbiz.de/10011975644

Mapping the interconnectedness between EU banks and shadow banking entities

Abad, Jorge; D'Errico, Marco; Killeen, Neill; Luz, Vera; … - 2017

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global … challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks …' exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks …

Persistent link: https://www.econbiz.de/10011976217

Mapping the interconnectedness between EU banks and shadow banking entities

Abad, Jorge; D'Errico, Marco; Killeen, Neill; Luz, Vera; … - 2017

Persistent link: https://www.econbiz.de/10011641179

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

Bank capital and the European recovery from the COVID-19 crisis

Schularick, Moritz; Steffen, Sascha; Tröger, Tobias - 2020

Persistent link: https://www.econbiz.de/10012233542

Bank capital and the European recovery from the COVID-19 crisis

Schularick, Moritz; Steffen, Sascha; Tröger, Tobias - 2020

Do current levels of bank capital in Europe suffice to support a swift recovery from the COVID-19 crisis? Recent research shows that a well-capitalized banking sector is a major factor driving the speed and breadth of recoveries from economic downturns. In particular, loan supply is negatively...

Persistent link: https://www.econbiz.de/10012236602

Contagion during the Greek sovereign debt crisis

Mink, Mark; Haan, Jakob de - 2012

Persistent link: https://www.econbiz.de/10009490063

Predicting distress in European banks

Betz, Frank; Oprică, Silviu; Peltonen, Tuomo; Sarlin, Peter - 2013

Persistent link: https://www.econbiz.de/10010195373